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Quan Gan

Quan Gan

B.Eng. Tsinghua; MAS Swiss Federal Institute of Technology in Zurich (ETHZ) & University of Zurich; PhD UNSW; CFA
Senior Lecturer

Rm 511
H69 - Codrington Building
The University of Sydney
NSW 2006 Australia

Telephone +61 2 9114 0831
quan.gan@sydney.edu.au


Bio

Quan Gan holds a bachelor’s degree in computer science and technology from  Tsinghua University, China; a master’s degree in quantitative finance from the  Swiss Federal Institute of Technology in Zurich (ETHZ) and University of  Zurich, Switzerland; and a PhD in economics (econometrics) from the University  of New South Wales (UNSW), Australia.

Upon his graduation from Tsinghua University, Quan worked as a software  engineer in San Jose (Silicon Valley), USA. After obtaining the master’s  degree, he worked in financial industry in Zurich and Sydney. Prior to joining  the University of Sydney in 2009, he lectured business courses at Australian  school of business and school of engineering at UNSW.

Quan holds the Chartered Financial Analyst® designation. He has published  popular stock analysis articles and comments on Bloomberg, Australian  Financial Review and Eureka Report. He also commented on financial markets  on SBS radio program. Quan's research has been reported by The  Australian and Australian Financial Review.

Publications

2015

4
Journal Article/s

Gan Q, Wei WC and Johnstone D 2015 'A faster estimation method for the probability of informed trading using hierarchical agglomerative clustering', Quantitative Finance, vol.15:11, pp. 1805-21 Link

5
Conference Paper/s

Gan Q, Wei W and Johnstone D 2015 'Does the Probability of Informed Trading Model Fit Empirical Data?', 2015 Asian Finance Association Annual Conference, Changsha, China, 2nd July 2015

Gan Q, Wei W and Johnstone D 2015 'Does the Probability of Informed Trading Model Fit Empirical Data?', 8th Nordic Econometric Meeting NEM2015, University of Helsinki, Finland, 30th May 2015

2014

4
Journal Article/s

Gan Q 2014 'Location-Scale Portfolio Selection with Factor-Recentered Skew Normal Asset Returns', Journal of Economic Dynamics and Control, vol.48, pp. 176-87 Link

5
Conference Paper/s

Gan Q, Wei W and Johnstone D 2014 'Does the Probability of Informed Trading Model Fit Empirical Data?', 8th International Conference on Computational and Financial Econometrics CFE 2014, Pisa, Italy, 8th December 2014

6
Conference Proceeding/s

Gan Q, Johnstone D and Wei W 2014 'Cluster PIN: A New Estimation Method for the Probability of Informed Trading', World Finance Conference, Venice, Italy, 4th July 2014

2013

4
Journal Article/s

Gan Q 2013 'Optimal Selling Mechanism, Auction Discounts and Time on Market', Real Estate Economics, vol.41:2, pp. 347-83 Link

5
Conference Paper/s

Gan Q 2013 'Portfolio Selection with Skew Normal Asset Returns', 26th Australasian Finance and Banking Conference AFBC 2013, Sydney, Australia, 19th December 2013

Gan Q 2013 'Performance of Equity REITs: Does a Skew Factor Matter?', 20th Annual European Real Estate Society Conference ERES 2013, Vienna, Austria, 6th July 2013

Wei WC and Gan Q 2013 'Comparing Time-Varying Price Impact and Information Impounding Time across Asian Stock Exchanges: An Adaptive Lasso Approach', 6th Financial Risks International Forum, Paris, France, 26th March 2013

2012

4
Journal Article/s

Smith MS, Gan Q and Kohn RJ 2012 'Modeling Dependence Using Skew t-Copulas: Bayesian Inference and Application', Journal of Applied Econometrics, vol.27:3, pp. 500-22 Link

5
Conference Paper/s

Wei WC and Gan Q 2012 'Comparing Information Content of Stock Trades across Asian Exchanges: An Adaptive Lasso Approach', 27th International Conference of the American Committee for Asian Economic Studies ACAES 2012-Financial Econometrics group (FEG), Melbourne, Australia, 27th October 2012

Gan Q 2012 'Platform Competition of Government Sponsored Enterprises and Investment Banks in Mortgage Securitization Market', 19th European Real Estate Society Annual Conference ERES 2012, Edinburgh, United Kingdom, 16th June 2012

6
Conference Proceeding/s

Wei WC and Gan Q 2012 'Diminishing Price Impact in Asian Limit Order Book Markets', Proceedings of the 25th Australasian Finance and Banking Conference, Sydney, Australia, 18th December 2012

Wei WC and Gan Q 2012 'Comparing the Information Content of Stock Trades: An Adaptive Lasso Approach (Awarded best finance paper)', Proceedings of the Accounting & Finance Association of Australia and New Zealand Conference AFAANZ 2012, Melbourne, Australia, 3rd July 2012

2011

5
Conference Paper/s

Gan Q 2011 'On Efficiency of Real Estate Market', 18th Annual Conference of the European Real Estate Society ERES 2011, Eindhoven, Netherlands, 18th June 2011

6
Conference Proceeding/s

Gan Q 2011 'On Polynomial Goal Programming and Mean-Variance-Skewness Portfolio Selection', Proceedings of the Accounting and Finance Association of Australia and New Zealand AFAANZ Conference 2011, Darwin, Australia, 5th July 2011

Gan Q and Hill R 2011 'A New Perspective on the Relationship Between House Prices and Income', 3rd Annual Global Chinese Real Estate Congress Conference, Hangzhou, China, 3rd April 2011

2010

5
Conference Paper/s

Smith M, Gan Q and Kohn R 2010 'Modeling Dependence Using Skew t-Copulas: Bayesian Inference and Application', 3rd Financial Risks International Forum - "Risk Dependencies", Paris, France, 26th March 2010

6
Conference Proceeding/s

Gan Q 2010 'Optimal Selling Mechanism, Auction Discounts, and Time on Market', 17th Annual Conference of the European Real Estate Society ERES 2010, Milan, Italy, 26th June 2010

2009

4
Journal Article/s

Gan Q and Hill RJ 2009 'Measuring housing affordability: Looking beyond the median', Journal of Housing Economics, vol.18:2, pp. 115-25

5
Conference Paper/s

Gan Q and Hill RJ 2009 'Measuring housing affordability: looking beyond the median', The American Real Estate and Urban Economics Association 2009 International Conference, Los Angeles, United States, 14th July 2009

Research Expertise

  • Financial theory
  • Real estate
  • Econometrics